Mail's 'Include related messages' preference shows sent messages together with received in the preview pane, however it fails to show them in the message list. It also doesn't send them to the trash when deleting a thread.
I replaced Inbox in my favorites bar in Mail with Conversations, which is a smart mailbox containing all messages that are in Inbox or in Sent. Now, not only do I see related messages on the right, if I open a thread on the left, they're all there, too. Plus, when I'm done with a thread and I choose to delete it, all the related messages also get deleted, instead of sticking around in my Sent mailbox.
[crarko adds: Good use of a smart mailbox.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20110728112546583